I have constructed a simple HMM (Hidden Markov Model) with 2 states on the Vol (stdev) of a time series of currency returns.
The state vector I produce looks reasonable, in the sense that it appears ...

I am looking for a R library for modeling a Markov-Switching E-GARCH process.
In other questions at StackExchange related to GARCH models, the package rugarch is often mentionned. Do you recommend it ...